Esempio n. 1
0
        public Option(double cst, double ck, double cr, double cT, int csteps, double csig, int ctrials, int cindex, bool cindex_anti, bool cindex_cv, bool cthreadingindex)
        {
            s              = cst;
            k              = ck;
            r              = cr;
            T              = cT;
            steps          = csteps;
            sigma          = csig;
            trials         = ctrials;
            index          = cindex;
            index_anti     = cindex_anti;
            index_cv       = cindex_cv;
            threadingindex = cthreadingindex;
            randomnumber rnd = new randomnumber();

            randsaved = rnd.random(steps, trials, threadingindex);
        }
Esempio n. 2
0
        private void button1_Click(object sender, EventArgs e)
        {
            progressBar1.Value = 0;
            Stopwatch timer = new Stopwatch();

            timer.Start();
            int index_EuroC   = Convert.ToInt32(EuropeanCall.Checked);
            int index_EuroP   = Convert.ToInt32(EuropeanPut.Checked);
            int index_AsiaC   = Convert.ToInt32(AsianCall.Checked);
            int index_AsiaP   = Convert.ToInt32(AsianPut.Checked);
            int index_DigC    = Convert.ToInt32(DigitalCall.Checked);
            int index_DigP    = Convert.ToInt32(DigitalPut.Checked);
            int index_downout = Convert.ToInt32(downout.Checked);
            int index_upout   = Convert.ToInt32(upout.Checked);
            int index_downin  = Convert.ToInt32(downin.Checked);
            int index_upin    = Convert.ToInt32(upin.Checked);
            int index_LookC   = Convert.ToInt32(LookbackCall.Checked);
            int index_LookP   = Convert.ToInt32(LookbackPut.Checked);
            int index_Range   = Convert.ToInt32(RangeCall.Checked);

            progressBar1.Value = progressBar1.Value + 5;
            bool threadingindex = Convert.ToBoolean(Threading.Checked);
            bool index_anti     = Convert.ToBoolean(Antithetic.Checked);

            progressBar1.Value = progressBar1.Value + 5;
            bool index_cv = Convert.ToBoolean(control_variate.Checked);

            progressBar1.Value = progressBar1.Value + 5;
            randomnumber RandInstance = new randomnumber();

            progressBar1.Value = progressBar1.Value + 5;
            double s = Convert.ToDouble(stock_price.Text);

            progressBar1.Value = progressBar1.Value + 5;
            double k = Convert.ToDouble(strike_price.Text);

            progressBar1.Value = progressBar1.Value + 5;
            double r = Convert.ToDouble(risk_free_rate.Text);

            progressBar1.Value = progressBar1.Value + 5;
            double T = Convert.ToDouble(Time.Text);

            progressBar1.Value = progressBar1.Value + 5;
            double sigma = Convert.ToDouble(volatility.Text);

            progressBar1.Value = progressBar1.Value + 5;
            int N = Convert.ToInt32(steps.Text);

            progressBar1.Value = progressBar1.Value + 5;
            int trials = Convert.ToInt32(Trials.Text);

            progressBar1.Value = progressBar1.Value + 5;

            Option option;

            if (index_EuroC == 1 || index_EuroP == 1)
            {
                option             = new EuropeanOption(s, k, r, T, N, sigma, trials, index_EuroC, index_anti, index_cv, threadingindex);
                progressBar1.Value = progressBar1.Value + 5;
                double standard_error;
                progressBar1.Value = progressBar1.Value + 5;
                Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                progressBar1.Value = progressBar1.Value + 5;
                Delta.Text         = Convert.ToString(option.delta());
                progressBar1.Value = progressBar1.Value + 5;
                Gamma.Text         = Convert.ToString(option.gamma());
                progressBar1.Value = progressBar1.Value + 5;
                Vega.Text          = Convert.ToString(option.vega());
                progressBar1.Value = progressBar1.Value + 5;
                Thelta.Text        = Convert.ToString(option.thelta());
                progressBar1.Value = progressBar1.Value + 5;
                Rho.Text           = Convert.ToString(option.rho());
                progressBar1.Value = progressBar1.Value + 5;
                SE_result.Text     = Convert.ToString(standard_error);
                progressBar1.Value = progressBar1.Value + 5;

                timer.Stop();
                TimeSpan ts          = timer.Elapsed;
                string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                time_mark.Text = Convert.ToString(elapsedTime);
            }
            if (index_AsiaC == 1 || index_AsiaP == 1)
            {
                option             = new AsianOption(s, k, r, T, N, sigma, trials, index_AsiaC, index_anti, index_cv, threadingindex);
                progressBar1.Value = progressBar1.Value + 5;
                double standard_error;
                progressBar1.Value = progressBar1.Value + 5;
                Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                progressBar1.Value = progressBar1.Value + 5;
                Delta.Text         = Convert.ToString(option.delta());
                progressBar1.Value = progressBar1.Value + 5;
                Gamma.Text         = Convert.ToString(option.gamma());
                progressBar1.Value = progressBar1.Value + 5;
                Vega.Text          = Convert.ToString(option.vega());
                progressBar1.Value = progressBar1.Value + 5;
                Thelta.Text        = Convert.ToString(option.thelta());
                progressBar1.Value = progressBar1.Value + 5;
                Rho.Text           = Convert.ToString(option.rho());
                progressBar1.Value = progressBar1.Value + 5;
                SE_result.Text     = Convert.ToString(standard_error);
                progressBar1.Value = progressBar1.Value + 5;

                timer.Stop();
                TimeSpan ts          = timer.Elapsed;
                string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                time_mark.Text = Convert.ToString(elapsedTime);
            }
            if (index_downin == 1 || index_downout == 1 || index_upin == 1 || index_upout == 1)
            {
                if (index_downin == 1 || index_upin == 1)
                {
                    option             = new BarrierinOption(s, k, r, T, N, sigma, trials, index_upin, index_anti, index_cv, threadingindex);
                    progressBar1.Value = progressBar1.Value + 5;
                    double standard_error;
                    progressBar1.Value = progressBar1.Value + 5;
                    Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                    progressBar1.Value = progressBar1.Value + 5;
                    Delta.Text         = Convert.ToString(option.delta());
                    progressBar1.Value = progressBar1.Value + 5;
                    Gamma.Text         = Convert.ToString(option.gamma());
                    progressBar1.Value = progressBar1.Value + 5;
                    Vega.Text          = Convert.ToString(option.vega());
                    progressBar1.Value = progressBar1.Value + 5;
                    Thelta.Text        = Convert.ToString(option.thelta());
                    progressBar1.Value = progressBar1.Value + 5;
                    Rho.Text           = Convert.ToString(option.rho());
                    progressBar1.Value = progressBar1.Value + 5;
                    SE_result.Text     = Convert.ToString(standard_error);
                    progressBar1.Value = progressBar1.Value + 5;

                    timer.Stop();
                    TimeSpan ts          = timer.Elapsed;
                    string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                    time_mark.Text = Convert.ToString(elapsedTime);
                }
                if (index_downout == 1 || index_upout == 1)
                {
                    option             = new BarrierinOption(s, k, r, T, N, sigma, trials, index_upout, index_anti, index_cv, threadingindex);
                    progressBar1.Value = progressBar1.Value + 5;
                    double standard_error;
                    progressBar1.Value = progressBar1.Value + 5;
                    Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                    progressBar1.Value = progressBar1.Value + 5;
                    Delta.Text         = Convert.ToString(option.delta());
                    progressBar1.Value = progressBar1.Value + 5;
                    Gamma.Text         = Convert.ToString(option.gamma());
                    progressBar1.Value = progressBar1.Value + 5;
                    Vega.Text          = Convert.ToString(option.vega());
                    progressBar1.Value = progressBar1.Value + 5;
                    Thelta.Text        = Convert.ToString(option.thelta());
                    progressBar1.Value = progressBar1.Value + 5;
                    Rho.Text           = Convert.ToString(option.rho());
                    progressBar1.Value = progressBar1.Value + 5;
                    SE_result.Text     = Convert.ToString(standard_error);
                    progressBar1.Value = progressBar1.Value + 5;

                    timer.Stop();
                    TimeSpan ts          = timer.Elapsed;
                    string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                    time_mark.Text = Convert.ToString(elapsedTime);
                }
            }
            if (index_DigC == 1 || index_DigP == 1)
            {
                option             = new DigitalOption(s, k, r, T, N, sigma, trials, index_DigC, index_anti, index_cv, threadingindex);
                progressBar1.Value = progressBar1.Value + 5;
                double standard_error;
                progressBar1.Value = progressBar1.Value + 5;
                Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                progressBar1.Value = progressBar1.Value + 5;
                Delta.Text         = Convert.ToString(option.delta());
                progressBar1.Value = progressBar1.Value + 5;
                Gamma.Text         = Convert.ToString(option.gamma());
                progressBar1.Value = progressBar1.Value + 5;
                Vega.Text          = Convert.ToString(option.vega());
                progressBar1.Value = progressBar1.Value + 5;
                Thelta.Text        = Convert.ToString(option.thelta());
                progressBar1.Value = progressBar1.Value + 5;
                Rho.Text           = Convert.ToString(option.rho());
                progressBar1.Value = progressBar1.Value + 5;
                SE_result.Text     = Convert.ToString(standard_error);
                progressBar1.Value = progressBar1.Value + 5;

                timer.Stop();
                TimeSpan ts          = timer.Elapsed;
                string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                time_mark.Text = Convert.ToString(elapsedTime);
            }

            if (index_LookC == 1 || index_LookP == 1)
            {
                option             = new LookBackOption(s, k, r, T, N, sigma, trials, index_LookC, index_anti, index_cv, threadingindex);
                progressBar1.Value = progressBar1.Value + 5;
                double standard_error;
                progressBar1.Value = progressBar1.Value + 5;
                Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                progressBar1.Value = progressBar1.Value + 5;
                Delta.Text         = Convert.ToString(option.delta());
                progressBar1.Value = progressBar1.Value + 5;
                Gamma.Text         = Convert.ToString(option.gamma());
                progressBar1.Value = progressBar1.Value + 5;
                Vega.Text          = Convert.ToString(option.vega());
                progressBar1.Value = progressBar1.Value + 5;
                Thelta.Text        = Convert.ToString(option.thelta());
                progressBar1.Value = progressBar1.Value + 5;
                Rho.Text           = Convert.ToString(option.rho());
                progressBar1.Value = progressBar1.Value + 5;
                SE_result.Text     = Convert.ToString(standard_error);
                progressBar1.Value = progressBar1.Value + 5;

                timer.Stop();
                TimeSpan ts          = timer.Elapsed;
                string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                time_mark.Text = Convert.ToString(elapsedTime);
            }

            if (index_Range == 1)
            {
                option             = new Range(s, k, r, T, N, sigma, trials, index_DigC, index_anti, index_cv, threadingindex);
                progressBar1.Value = progressBar1.Value + 5;
                double standard_error;
                progressBar1.Value = progressBar1.Value + 5;
                Option_result.Text = Convert.ToString(option.optionprice(out standard_error));
                progressBar1.Value = progressBar1.Value + 5;
                Delta.Text         = Convert.ToString(option.delta());
                progressBar1.Value = progressBar1.Value + 5;
                Gamma.Text         = Convert.ToString(option.gamma());
                progressBar1.Value = progressBar1.Value + 5;
                Vega.Text          = Convert.ToString(option.vega());
                progressBar1.Value = progressBar1.Value + 5;
                Thelta.Text        = Convert.ToString(option.thelta());
                progressBar1.Value = progressBar1.Value + 5;
                Rho.Text           = Convert.ToString(option.rho());
                progressBar1.Value = progressBar1.Value + 5;
                SE_result.Text     = Convert.ToString(standard_error);
                progressBar1.Value = progressBar1.Value + 5;

                timer.Stop();
                TimeSpan ts          = timer.Elapsed;
                string   elapsedTime = String.Format("{0:00} h and {1:00} m {2:00} s and {3:00} ms", ts.Hours, ts.Minutes, ts.Seconds, ts.Milliseconds / 10);

                time_mark.Text = Convert.ToString(elapsedTime);
            }
        }